A Simple Span Selector for Periodogram Smoothing

@inproceedings{LEEDepartment1997ASS,
  title={A Simple Span Selector for Periodogram Smoothing},
  author={THOMAS C. M. LEEDepartment},
  year={1997}
}
  • THOMAS C. M. LEEDepartment
  • Published 1997
One approach to estimating the spectral density of a stationary time series is to smooth the peri-odogram and one important component of this approach is the choice of the span for smoothing. This note proposes a new span selector which is based on unbiased risk estimation. The proposed span selector is simple, and does not impose strong conditions on the unknown spectrum. For example , it does not require the unknown spectrum to possess a second derivative, which is a typical requirement by… CONTINUE READING
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